Regulatory Alerts2019-12-17
Added · Updated
Commission Delegated Regulation (EU) 2021/424 amending Regulation (EU) No 575/2013 regarding the alternative standardised approach for market risk
The European Commission amends Regulation (EU) No 575/2013 to align the alternative standardised approach for market risk with Basel Committee on Banking Supervision standards. The regulation updates curvature risk calculations, introduces notification requirements for institutions opting to apply curvature risk to instruments without optionality, and establishes specific look-through and simplified approaches for collective investment undertakings. It also defines conditions for treating CIU positions as direct index positions and aligns risk weights and correlations for various risk factors.
Topics
Share